Multi‐Frequency Information Flows between Global Commodities and Uncertainties: Evidence from COVID‐19 Pandemic
Owing to the adverse impact of the COVID‐19 pandemic on world economies, it is expected
that information flows between commodities and uncertainties have been transformed …
that information flows between commodities and uncertainties have been transformed …
Information Flow between Global Equities and Cryptocurrencies: A VMD‐Based Entropy Evaluating Shocks from COVID‐19 Pandemic
The world has witnessed the adverse impact of the COVID‐19 pandemic. Accordingly, it is
expected that information transmission between equities and digital assets has been altered …
expected that information transmission between equities and digital assets has been altered …
Financialisation of natural resources & instability caused by risk transfer in commodity markets
Understanding the connectedness of financial markets and hence possible sources of
systematic risk is central to the debate on the process of financialisation and its …
systematic risk is central to the debate on the process of financialisation and its …
How does economic policy uncertainty drive time–frequency connectedness across commodity and financial markets?
H Wu, H Zhu, F Huang, W Mao - The North American Journal of Economics …, 2023 - Elsevier
This study provides novel insight to the prior literature on the time–frequency connectedness
across commodity and financial markets while considering the effect of economic policy …
across commodity and financial markets while considering the effect of economic policy …
Examining the asymmetries between equity and commodity ETFs during COVID-19
Previous studies have neither examined the volatility co-movements across stock and
commodity markets in terms of both time and frequency nor differentiated between bad and …
commodity markets in terms of both time and frequency nor differentiated between bad and …
Information Flow from COVID‐19 Pandemic to Islamic and Conventional Equities: An ICEEMDAN‐Induced Transfer Entropy Analysis
A Bossman - Complexity, 2021 - Wiley Online Library
With the steady growth in the data set on the COVID‐19 pandemic, empirical works that
employ novel and yet appropriate statistical techniques to corroborate previous findings of …
employ novel and yet appropriate statistical techniques to corroborate previous findings of …
Time-frequency analysis of financial stress and global commodities prices: Insights from wavelet-based approaches
We examine the time-frequency lead–lag relationships and the degree of integration
between the US financial stress index and global commodity prices (ie, oil, gold, silver, and …
between the US financial stress index and global commodity prices (ie, oil, gold, silver, and …
Asymmetric spillovers and connectedness between crude oil and currency markets using high-frequency data
This paper examines the asymmetric spillovers and connectedness between the spot prices
of West Texas Intermediate crude oil and six popular currencies—the Euro, Japanese Yen …
of West Texas Intermediate crude oil and six popular currencies—the Euro, Japanese Yen …
Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness …
This paper investigates the dynamic volatility spillover among energy commodities and
financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency …
financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency …
Total, asymmetric and frequency connectedness between oil and forex markets
We analyze total, asymmetric and frequency connectedness between oil and forex markets
using high-frequency, intra-day data over the period 2007-2017. By employing variance …
using high-frequency, intra-day data over the period 2007-2017. By employing variance …